if the user clicks on the gridForm (thus ensuring it has focus) does it still not function?
The user clicks on the grid, then uses the arrow keys. And it still doesn't work.

If so, check your other code to see if you are overriding the UpArrow .

I checked all the keypress events and the textbox in the grid had keypress event implemented as follows:

LPARAMETERS nKeyCode, nShiftAltCtrl
SET STEP ON 
IF ((m.nKeyCode >= ASC("A") AND m.nKeyCode <= ASC("Z")) ;
	OR (m.nKeyCode >= ASC("a") AND m.nKeyCode <= ASC("z")) ;
	OR (m.nKeyCode >= ASC("0") AND m.nKeyCode <= ASC("9")) ;
	OR INLIST(m.nKeyCode,ASC("'"),ASC("."),ASC("?"),ASC("!"), ;
		ASC("*"),ASC(["]))) ;
THEN 

	&& do something
ELSE 
	DODEFAULT(m.nKeyCode, m.nShiftAltCtrl)
ENDIF 	

This doesn't stop arrow keys as you can see.